Fill your tiny dish with a little of each ingredient it's mandatory to add a little of each and be sure you use lots of fresh ginger. The ginger adds a distinct flavor and it cleanses the palate in between dumplings. Make sure you let your dumpling swim in the sauce for a bit to get it well coated.  For XLB there is a different way to eat them that involves a soup spoon, we'll get to that later. 

Every dumpling house will have a tray of condiments, if they don't have one they are either posers and too hipster and you should run away immediately.  Typical condiments are soy sauce, sesame oil, chili oil, vinegar, Sambal Olek (Garlic/Chili Paste) Fresh sliced ginger is also a requirement, (I had to ask for some).  

You will finds lots of blogs and even YouTube videos showing you how to properly eat XLB. Most of them will show people eating them with a soup spoon. Putting a bit of your dipping sauce concoction into the bottom of your spoon, then delicately using your chopsticks to gently place your XLB into your spoon. I am calling BS on all of these! There is no right or wrong way to eat a XLB do what makes you happy. I like to let my XLB swim in my sauce for a bit perhaps rolling it around (without breaking it) in the sauce then using my spoon I pick it up getting some sauce in the spoon at the same time. Some folks will tell you to bit a small hole in the dough to set the soup free and mix with the sauce-that's too complicated, just eat the whole thing in one bite, after all that's why they make it bite sized. If you go to get XLB with a group of Asians you'll notice that everyone waits a bit to dig into the XLB, they are waiting for it to cool a bit inside-this is a fine art and takes experience, if you put a XLB in your mouth when it is too hot, the soup will burn your tongue and you'll be screwed out of experiencing the full flavors of the rest of the meal. Don't make this rookie mistake, especially if it's a first date.